This paper examines two arguments presented in Gray and Hall (2006). First, that the generally used estimate of 0.06 for the market risk premium within the Officer version of the capital asset pricing model (CAPM) and the generally used estimate of 0.50 for the parameter 'gamma' within the...

This paper develops a version of the Capital Asset Pricing Model that views dividend imputation as affecting company tax and assumes differential taxation of capital gains and ordinary income. These taxation issues aside, the model otherwise rests on the standard assumptions including full...

The present paper investigates the effect of a ratchet clause on the appropriate rental rate for a ground lease, in the circumstance where land value is periodically reassessed. The effect of the ratchet clause depends primarily upon the life of the lease and the volatility in land returns. For...

For a cost-of-equity model to conform to the Modigliani-Miller cost-of-capital propositions, any sensitivity coefficients in the model must be related to the firm's leverage. In this paper I apply these principles to the Fama-French model for the cost of equity and develop the relation between...

Evolving volatility is a dominant feature observed in most financial time series and a key parameter used in option pricing and many other financial risk analyses. A number of methods for non-parametric scale estimation are reviewed and assessed with regard to the stylized features of financial...

This paper applies conventional principles of financial economics to the valuation of one of the largest assets held by New Zealand investors: the defined benefit pension entitlements under the Government Superannuation Fund. This methodology is compared with that employed by the Government...

This paper describes and compares two processes for assessing and assigning cost of capital in the public sector: that for Departments under the Capital Charge process and that recommended for SOEs. The processes are similar in the sense of using private sector type technology, and in particular...

International Trade and Competition Policy: CER, APEC and the WTO, by Kerrin M. Vautier and Peter J. Lloyd (Wellington: Institute of Policy Studies, 1997), xii + 178 pp., ISBN 0 908935 18 8. The Commercialisation of New Zealand, by Brian Easton (Auckland: Auckland University Press, 1997), vii +...